 |  Investments, 4th Canadian Edition, 4/e Zvi Bodie,
Boston University School of Management
Alex Kane,
University of California, San Diego
Alan Marcus,
Boston College
Stylianos Perrakis,
Concordia University
Peter Ryan,
University of Ottawa
Option Valuation
Internet Exercises| Prepared by William Lim, University of New Brunswick. Go to the options calculator that is available at:
www.schaeffersresearch.com/stock/calculator.asp Using Nortel Networks Corporation for the firm, enter the ticker symbol and latest price for NT. Since the company is not paying a cash dividend at this time, enter 0.0 for the quarterly dividend. The calculator will display the current rate. Find the prices for call and put options in the two months following the closest expiration month. You can request the options prices directly in the calculator. For example, if you are in July, you would use the September and December options. Use the options that are closest to being at the money. If the most recent price of NT is $0.90, you would select the $2.50 strike price. Once you have the options prices and the data entered, hit the GO FIGURE button and analyze the results. Are the calculated prices in line with observed prices? Compare the implied volatility with the observed historical volatility. |
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2003 McGraw-Hill Higher Education